Hi all,
Sorry to insist a little more on the market data dependencies removal. (Since the next release won't be backward compatible it is now or never!).
I would like to draw your attention on another shortcomings of the current indexes design. The YC bootstraping procedure needs swaps which need indexes which in turn refer to a fake YC. IMO this is the kind of hack which might cause nasty bugs or mislead users at least.
Regards,
François
PS: One might argue that precising the YC at index level allows to distinguish between forward and discounting YC. Even if it is a nice feature (on purpose ?) I think that it could also be allowed if YC are known by pricing engines only.
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